I'm not sure about this black box, but in the EU, the e-call system is mandatory, so all new cars do indeed have a sim. Though it's most likely not a card, but either a chip (iSIM) or just in software (eSIM).

Typically a soldered on sim chip, or esim software. You can disable it on some cars, for example I was able to bypass it on my 4runner pretty easily. I lost the feature to find my car, lock doors or see its status using the Toyota app though but I am 100% ok with that.

They do in fact. It's also how the app connectivity works in modern cars.

They do. They hide it as an SOS system. "Only used in case of emergency." It's connected to GPS, sim like a cellphone that has at least 4g cell service to "call emergency." I think Chevy used their Onstar connection. That's always on, and the data text files can be sent without interrupting that service.